that's a function of your browser then. If you're using firefox, then click on the link (the one you've posted should work) and hit "Save Link As" and then navigate to where you want to save it to, such your home directory.
I don't really use any other browsers, but I tried copying and pasting in the whole address into Konqueror, and the first thing it did was ask me where I wanted to save it to.
If you can't get any of the above to work, you could always use wget from the command line (a terminal or konsole):
wget http://movies.apple.com/movies/wb/happy_feet/happy_feet_h.i480.mov -P ~/
will save it your home directory.
Hope this helps.